If the caption displays "No Caption" for one or more images in your slideshow, it means that your images don't have any IPTC metadata embedded in them, which is what SlideShowPro for Lightroom uses (by default) when assigning captions to your imagery. To change this, open the "Caption" drop-down box in the "Image Info" panel, and choose a different option that doesn't rely on metadata, or edit your images in the Library so that they include IPTC caption metadata. More on the latter option here.